Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks

被引：1
|
作者：
Yang, Yang [1 ,2 ]
机构：
[1] Southeast Univ, Sch Econ & Management, Nanjing, Jiangsu, Peoples R China
[2] Nanjing Audit Univ, Sch Math & Stat, Nanjing 210029, Jiangsu, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2014年 / 43卷 / 10-12期
基金：
中国博士后科学基金; 中国国家自然科学基金;
关键词：
Discrete-time risk model with insurance and financial risks; Finite-time ruin probability; Gumbel maximum domain of attraction; Subexponential distribution; Extended-varying-tailed distribution; 62P05; 60G70; ECONOMIC-ENVIRONMENT; ASYMPTOTICS;
D O I：
10.1080/03610926.2012.715711
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this article, we consider a discrete-time risk model with insurance and financial risks. We derive some refinements of a general asymptotic formula for the finite-time ruin probability under the assumptions that the net losses follow a common distribution in the intersection between the subexponential class and the Gumbel maximum domain of attraction, and the stochastic discount factors of the risky asset have a common distribution with extended regular variation. The obtained asymptotic upper and lower bounds are transparent and computable.
引用
收藏
页码：2094 / 2104
页数：11
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